Apparently, I have to say this every few years or the
universe starts to forget and I have to explain it again:

Illustrator, Visio, CorelDraw, etc. are vector graphics
"drawing" packages best for line graphics like diagrams.

Photoshop, PhotoPaint, PaintShop, etc. are bitmap editors
best for creating and modifying photos and screen captures.

To use a vector graphic in another program, such as adding
a diagram to a Word or PDF document, save it as EPS, WMF
(or variants), or SVG (if you are from the future). To use
a vector graphic in a web page, save it as PNG or GIF. SVG
support is still lacking in many widely-used browsers.

To use a bitmap graphic in another program, such as adding
a screen capture to a document or web page, save it as PNG
or GIF. Do not save it as JPEG (JPG) unless it is a photo
or photo-quality image.

Always keep your original graphic in one file and the file
to be imported in another. This is especially true if you
are saving a vector image as a bitmap on the web.

Of course, all that glosses over some very technical talk
about compression, image quality, and scalability that you
can probably find discussed elsewhere on the web in great
detail.

I wrote an article about this in 1995 when many non-geeky
people were having to learn this stuff for the first time,
and it surprises me when geeky people don't understand it
even today.